Keregero, Chirongo Moses - In: Cogent Economics & Finance 9 (2021) 1, pp. 1-19
Risk of basic defaults and contagious defaults are two main sources of bank systemic risk. In this paper, a theoretical … algorithm to calculate the time evolution of systemic risk. The asset value estimation algorithm is used to estimate the asset … values of the banks each day and the obligation clearing algorithm is used to calculate systemic risk given the tuples of …